Journal of Computational Finance

Christoph Reisinger
University of Oxford

I am pleased to introduce the June 2021 issue of The Journal of Computational Finance.

In this issue’s first paper, “Pricing American options under negative rates”, Jherek Healy analyzes the upper and lower exercise boundaries for American puts under negative interest rates (compared with the single upper boundary found with positive interest rates). He proposes a numerical method for the resulting integral equation by a careful modification of the approach proposed by Andersen, Lake and Offengenden in their paper “High-performance American option pricing” (The Journal of Computational Finance 20(1), 39–87 (2016)).

Our second paper, “Fast pricing of American options under variance gamma”, finds Weilong Fu and Ali Hirsa introducing a novel method for the valuation of American options that combines a partial integro- differential equation in a jump model with kernel regression to estimate corrections to certain semi-analytical approximations.

In the issue’s third paper, “The effects of transaction costs and illiquidity on the prices of volatility derivatives”, Mehzabeen Jumanah Dilloo and Yannick Désiré Tangman propose a numerical approach to price volatility options under different transaction cost models.

In our final paper, “A simple and robust approach for expected shortfall estimation”, Zhibin Pan, Tao Pang and Yang Zhao combine a normal approximation with corrections for skewness to estimate risk measures under a heavy-tailed distribution.

I hope you will find the novel findings presented in this issue of interest, and I wish you an enjoyable summer.

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: